Time-varying dependence and currency tail risk during the Covid-19 pandemic
Year of publication: |
2023
|
---|---|
Authors: | Gobbi, Fabio ; Mulinacci, Sabrina |
Published in: |
Studies in economics and finance. - Bingley : Emerald, ISSN 1755-6791, ZDB-ID 2070355-7. - Vol. 40.2023, 5, p. 839-858
|
Subject: | Copula functions | Exchange rates | Tail risk | Time-varying dependence structure | Coronavirus | Multivariate Verteilung | Multivariate distribution | Wechselkurs | Exchange rate | Schätzung | Estimation | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Währungsrisiko | Exchange rate risk | Epidemie | Epidemic |
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